Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0506
Annualized Std Dev 0.2406
Annualized Sharpe (Rf=0%) -0.2102

Row

Daily Return Statistics

Close
Observations 3188.0000
NAs 1.0000
Minimum -0.1158
Quartile 1 -0.0074
Median 0.0003
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0080
Maximum 0.0934
SE Mean 0.0003
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0152
Skewness -0.5319
Kurtosis 6.4365

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0100
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7233
Historical VaR (95%) -0.0236
Historical ES (95%) -0.0369
Modified VaR (95%) -0.0253
Modified ES (95%) -0.0495
From Trough To Depth Length To Trough Recovery
2008-07-16 2020-03-20 NA -0.7233 3188 2936 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA -1.3 1.7 -1.3 0.4 -3.7 -0.7 -4.9
2009 -1.1 -3.7 1.5 2.4 3.7 1.4 -0.8 -2.4 -2.1 -0.5 2.8 0.1 1.1
2010 4 1.5 1.7 -0.1 -1.3 0.5 1 2.2 1.4 -0.5 2.2 0.5 13.9
2011 2.8 -1.3 0.6 0.7 -1.2 1 0.4 -0.7 -1 -2 -0.7 0.1 -1.3
2012 2.1 1.1 0.4 1.1 -1.7 2.3 1 1.6 -0.7 -0.2 0 1.8 9.2
2013 1.7 0.6 -0.5 -1.3 -1.4 0.2 1.1 0.2 0 -0.6 0 1 0.9
2014 -0.2 1.2 1.6 -0.2 -0.1 0.7 -0.9 0.3 -1.2 -0.3 -3 -1.1 -3.3
2015 0.9 -0.5 4.1 1.6 -1 -0.2 -0.6 -2.9 0.5 -0.1 1.6 0.4 3.8
2016 -0.4 2.3 2.2 3.5 0.4 1.4 -2.4 -0.6 3.2 0.6 -0.7 -0.9 8.5
2017 0.5 -0.2 0 0.1 0.4 0.4 0.5 0.5 -0.6 1.6 -1 1.1 3.2
2018 -0.2 -1.7 1.9 -0.6 1.1 1.6 -0.7 0.3 0.4 3.3 -1.7 -0.5 3.4
2019 -0.3 -0.2 1.7 -0.2 0.9 0 -0.7 0.4 0.1 1.2 -0.3 0.2 2.8
2020 -1.9 -2.8 -3.8 -2.9 2 0.5 -0.8 1.4 0.1 0.2 2.4 -1 -6.7
2021 2.8 2 0.3 NA NA NA NA NA NA NA NA NA 5.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-07-14  41.4 SPY    123. -9.00e-3  -0.0184  -0.0872  -0.0768   -0.208   0.0038    0.224 GLD    95.9  0.0079   0.0513
2 2008-07-15  42.1 SPY    121. -1.41e-2  -0.0491  -0.111   -0.0919   -0.219  -0.0118    0.201 GLD    96.2  0.0027   0.0584
3 2008-07-16  40.4 SPY    124.  2.45e-2  -0.0067  -0.0901  -0.0942   -0.199   0.0085    0.233 GLD    94.4 -0.018    0.0321
4 2008-07-17  41.9 SPY    125.  1.00e-2  -0.0008  -0.0765  -0.0865   -0.190   0.0192    0.253 GLD    94.2 -0.0023   0.0074
5 2008-07-18  41   SPY    126.  6.20e-3   0.0173  -0.0616  -0.0903   -0.188   0.0297    0.279 GLD    94.2 -0.0005  -0.0104
6 2008-07-21  41.1 SPY    126.  6.00e-4   0.0271  -0.0623  -0.0902   -0.179   0.0246    0.267 GLD    95.1  0.0101  -0.0082
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart